On differentiability of solution to stochastic differential equation with fractional Brownian motion

• Date: 2007
• Main Authors: Mishura, Yu.S., Shevchenko, G.M.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2007
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4493
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ.

Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients i...